Publications
- 2013
The (de)merits of minimum-variance hedging: Application to the crack spread
Alexander, C., Prokopczuk, M. & Sumawong, A., 1 Mar 2013, In: Energy Economics. 36, p. 698-707 10 p.Research output: Contribution to journal › Article › Research › peer review
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage
Brooks, C., Prokopczuk, M. & Wu, Y., 1 Feb 2013, In: Quarterly Review of Economics and Finance. 53, 1, p. 73-85 13 p.Research output: Contribution to journal › Article › Research › peer review
Seasonality and the valuation of commodity options
Back, J., Prokopczuk, M. & Rudolf, M., 1 Feb 2013, In: Journal of Banking and Finance. 37, 2, p. 273-290 18 p.Research output: Contribution to journal › Article › Research › peer review
The case of negative day-ahead electricity prices
Fanone, E., Gamba, A. & Prokopczuk, M., 1 Jan 2013, In: Energy Economics. 35, p. 22-34 13 p.Research output: Contribution to journal › Article › Research › peer review
- 2012
Futures basis, inventory and commodity price volatility: An empirical analysis
Symeonidis, L., Prokopczuk, M., Brooks, C. & Lazar, E., 1 Nov 2012, In: Economic modelling. 29, 6, p. 2651-2663 13 p.Research output: Contribution to journal › Article › Research › peer review
Risk premia in covered bond markets
Prokopczuk, M. & Vonhoff, V., 1 Sept 2012, In: Journal of Fixed Income. 22, 2, p. 19-29 11 p.Research output: Contribution to journal › Article › Research › peer review
Investing in commodity futures markets: Can pricing models help?
Paschke, R. & Prokopczuk, M., 1 Jan 2012, In: European Journal of Finance. 18, 1, p. 59-87 29 p.Research output: Contribution to journal › Article › Research › peer review
- 2011
Are Banks' Earnings Surprises Contagious?
Prokopczuk, M., 29 Nov 2011, Financial Contagion: The Viral Threat to the Wealth of Nations. John Wiley and Sons Inc., p. 391-395 5 p.Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research
Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets
Prokopczuk, M., 1 Nov 2011, In: Decisions in Economics and Finance. 34, 2, p. 141-168 28 p.Research output: Contribution to journal › Article › Research › peer review
American option valuation: Implied calibration of GARCH pricing models
Weber, M. & Prokopczuk, M., 1 Oct 2011, In: Journal of Futures Markets. 31, 10, p. 971-994 24 p.Research output: Contribution to journal › Article › Research › peer review
Pricing and hedging in the freight futures market
Prokopczuk, M., 1 May 2011, In: Journal of Futures Markets. 31, 5, p. 440-464 25 p.Research output: Contribution to journal › Article › Research › peer review
- 2010
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics
Paschke, R. & Prokopczuk, M., 1 Nov 2010, In: Journal of Banking and Finance. 34, 11, p. 2742-2752 11 p.Research output: Contribution to journal › Article › Research › peer review
Intra-industry contagion effects of earnings surprises in the banking sector
Prokopczuk, M., 14 Oct 2010, In: Applied Financial Economics. 20, 20, p. 1601-1613 13 p.Research output: Contribution to journal › Article › Research › peer review
- 2009
- Published
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics
Paschke, R. & Prokopczuk, M., 2009, In: Journal of Energy Markets. 2, 3, p. 47 85 p.Research output: Contribution to journal › Article › Research › peer review
- 2007
Quantifying risk in the electricity business: A RAROC-based approach
Prokopczuk, M., Rachev, S. T., Schindlmayr, G. & Trück, S., 1 Sept 2007, In: Energy Economics. 29, 5, p. 1033-1049 17 p.Research output: Contribution to journal › Article › Research › peer review